Search Results - subject:"Model Specification"

Supplement to "Race, Ethnicity, and Baseball Card Prices: A Replication, Correction, and Extension of Hewitt, Muñoz, Oliver, and Regoli"

Findlay, David W.; Santos, John M. - In: Econ Journal Watch 9 (2012) 2, pp. 1-1

This is a supplement to “Race, Ethnicity, and Baseball Card Prices: A Replication, Correction, and Extension of Hewitt, Muñoz, Oliver, and Regoli” in which we investigate the effects of career performance, card quality and availability, and player race and ethnicity on baseball card prices....

Persistent link: https://www.econbiz.de/10011133026

Race, Ethnicity, and Baseball Card Prices: A Replication, Correction, and Extension of Hewitt, Muñoz, Oliver, and Regoli

Findlay, David W.; Santos, John M. - In: Econ Journal Watch 9 (2012) 2, pp. 122-140

Using a sample of all-time great baseball players, we investigate the effects of career performance, card quality and availability, and player race and ethnicity on baseball card prices. We estimate various specifications of the card price equations used by Hewitt, Muñoz, Oliver, and Regoli...

Persistent link: https://www.econbiz.de/10011133032

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Amado, Cristina; Terasvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2012

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

Persistent link: https://www.econbiz.de/10009650247

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

Persistent link: https://www.econbiz.de/10009652370

Specification testing for nonlinear multivariate cointegrating regressions

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag; Yin, Jiying - In: Journal of econometrics 200 (2017) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011897704

The Phantom Menace of Omitted Variables – A Comment

Ritter, Nolan; Vance, Colin - 2011

This note demonstrates that in applied regression analysis, the variance of a coefficient of interest may decrease from the inclusion of a control variable, contrasting with Clarke's assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be...

Persistent link: https://www.econbiz.de/10010287429

About the impact of model risk on capital reserves: A quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - 2011

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...

Persistent link: https://www.econbiz.de/10010288998

Impact of Model Specification Decisions on Unit Root Tests

In: International Econometric Review (IER) 3 (2011) 2, pp. 22-33

Performance of unit root tests depends on several specification decisions prior to their application, e.g., whether or not to include a deterministic trend. Since there is no standard procedure for making such decisions; therefore, the practitioners routinely make several arbitrary specification...

Persistent link: https://www.econbiz.de/10012610938

Incomplete model specification in a multi-pollutants setting : the case of climate change and acidification

Legras, Sophie - Département Sciences Sociales, Agriculture et … - 2011

This paper analyses the consequences of incomplete environmental model specification on policy design in a multi … setting for various cases of incomplete model specification. Both cases of lax and stringent regulation, compared to what is … horizon of policy design matters in assessing the impact of incomplete model specification. …

Persistent link: https://www.econbiz.de/10010780342

About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis.

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2011

Persistent link: https://www.econbiz.de/10008870987